Agency MBS Prepayment Model Performance (Model 2025)

研报英文原文证据摘录

Agency MBS Prepayment Model Performance (Model 2025)

New York J.P. Morgan Securities LLC

Jul 7, 2026 MBS Research

Agency MBS Prepayment Model Performance (Model 2025) Nick Maciunas | nicholas.m.maciunas@jpmorgan.com | 212-834-5671

MBS Research www.jpmorganmarkets.com

FNMA 30-Yr GNMA II 30-Yr FNMA 15-Yr

Act. / Proj. Act. / Proj. Act. / Proj.Coupon Vintage Collat Actual CPR* Actual CPR* Actual CPR* Ratio Ratio Ratio

1m 3m 6m 1y 1m 3m 6m 1y 1m 3m 6m 1y 1m 3m 6m 1y 1m 3m 6m 1y 1m 3m 6m 1y

1.5 2022 Cohort 0.9 2.2 2.0 2.6 0.21 0.51 0.55 0.7 5.6 5.2 4.4 4.5 0.93 0.91 0.87 0.92

NONSP 0.9 2.2 2.0 2.6 0.21 0.52 0.55 0.71 3.6 2.9 2.7 3.9 0.56 0.47 0.51 0.73 5.6 5.2 4.3 4.5 0.94 0.91 0.86 0.91

2021 Cohort 4.4 4.2 3.6 3.5 0.94 0.95 0.93 0.92 6.5 5.8 4.9 5.0 0.99 0.95 0.94 0.95 5.8 5.4 4.7 4.5 0.9 0.87 0.86 0.87

NONSP 4.1 4.0 3.4 3.4 0.9 0.92 0.91 0.9 6.5 5.8 4.9 4.9 0.99 0.93 0.9 0.9 5.8 5.2 4.5 4.4 0.94 0.89 0.87 0.87

LLB 6.4 7.5 7.2 7.7 0.67 0.84 0.89 0.98

MLB 7.6 8.1 7.8 7.0 0.81 0.91 0.97 0.9

HLB 6.6 6.3 6.0 6.0 0.73 0.74 0.8 0.82

M175 3.9 3.9 3.6 3.6 0.68 0.71 0.75 0.76 8.0 7.4 6.4 6.1 0.96 0.94 0.92 0.91

M200 6.8 5.7 5.2 4.7 1.21 1.06 1.12 1.01 6.8 6.6 5.9 5.5 0.87 0.9 0.91 0.88

M225 9.6 7.4 5.5 4.9 1.76 1.4 1.19 1.06 5.6 5.6 5.4 5.1 0.74 0.77 0.84 0.85

M250 6.9 5.6 4.7 4.6 1.27 1.08 1.05 1.02

JUMBO 2.8 2.0 2.0 2.6 0.76 0.57 0.68 0.9 3.0 3.2 2.3 2.9 0.65 0.72 0.6 0.79

NY 3.0 2.9 2.7 3.1 0.54 0.55 0.58 0.69

TX 4.8 6.0 4.6 4.0 0.92 1.2 1.1 0.95 4.9 5.4 5.0 4.6 0.83 0.97 1.02 0.98

FL 2.9 5.1 5.7 4.8 0.47 0.89 1.14 1.01

LTV95 5.1 5.3 4.4 4.8 0.97 1.08 1.03 1.08 0.6 3.0 4.5 4.7 0.09 0.52 0.89 0.96

FICO680 16.3 5.9 3.8 4.3 3.02 1.1 0.78 0.92 1.6 4.6 4.2 4.2 0.24 0.73 0.73 0.76

2020 Cohort 4.6 4.2 3.5 3.6 0.97 0.92 0.89 0.91 6.2 5.7 5.0 5.0 0.86 0.83 0.82 0.85